Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0435 |
| Annualized Std Dev | 0.1994 |
| Annualized Sharpe (Rf=0%) | 0.2183 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4207.0000 |
| NAs | 1.0000 |
| Minimum | -0.1049 |
| Quartile 1 | -0.0044 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1163 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0126 |
| Skewness | -0.3690 |
| Kurtosis | 12.7601 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0105 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.6088 |
| Historical VaR (95%) | -0.0184 |
| Historical ES (95%) | -0.0313 |
| Modified VaR (95%) | -0.0185 |
| Modified ES (95%) | -0.0298 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-05 | 2016-11-15 | -0.6088 | 2382 | 442 | 1940 |
| 2020-01-03 | 2020-03-23 | 2021-02-23 | -0.3553 | 287 | 55 | 232 |
| 2018-01-29 | 2018-12-24 | 2019-10-29 | -0.1892 | 442 | 229 | 213 |
| 2005-03-07 | 2005-05-13 | 2005-09-07 | -0.0724 | 129 | 49 | 80 |
| 2005-09-19 | 2005-10-20 | 2005-11-22 | -0.0706 | 47 | 24 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | -0.4 | 0.2 | 1.4 | 0 | 1 | -0.1 | 2.1 |
| 2005 | 1.2 | 0.1 | -0.4 | 1.2 | 0.5 | 0.6 | 0 | 0.8 | -0.4 | -0.1 | 1.1 | -0.4 | 4.2 |
| 2006 | -0.1 | 0.8 | -0.3 | -0.5 | 1.3 | -0.1 | 0 | 0.5 | -0.2 | -0.4 | -0.1 | -0.6 | 0.4 |
| 2007 | 0.8 | -0.2 | -0.4 | 0.3 | 0.3 | -0.9 | 0.7 | 0.7 | 1.5 | -3.8 | 1.8 | -0.5 | 0.1 |
| 2008 | 1.5 | -2.9 | 4.5 | 1.8 | -0.5 | 0.1 | 0.2 | -0.7 | 1.3 | 3.2 | -9.9 | 1.4 | -0.8 |
| 2009 | -1.6 | -3.5 | 2.4 | 0.9 | 1.5 | 0.3 | 0.5 | -2.6 | -2.4 | -3 | 1.1 | -0.8 | -7.2 |
| 2010 | 1.3 | 0.6 | 0.8 | -1.4 | -1.9 | -0.7 | 0.1 | 2.6 | 0.6 | -0.3 | 2.1 | 0 | 3.7 |
| 2011 | 2.1 | -1.2 | -0.1 | 0.3 | -1.9 | 1.4 | -0.2 | -0.9 | -1.9 | -3 | -0.3 | -0.5 | -6.1 |
| 2012 | 1 | 0.5 | 0.5 | 1 | -1.9 | 1.6 | 0.1 | 0.7 | 0.3 | 0.6 | 0.2 | 1.8 | 6.7 |
| 2013 | 0.9 | 0.1 | -0.2 | -1 | -1.7 | 0.4 | 0.9 | -0.5 | 0.6 | 0.3 | 0.2 | 0.3 | 0.3 |
| 2014 | -0.8 | 0.1 | 0.3 | -0.2 | 0.1 | 0.8 | -0.4 | 0.3 | -1.3 | 1.4 | 0 | -0.5 | -0.3 |
| 2015 | -1.5 | 0 | -0.4 | 0.7 | 0 | 0.5 | -0.5 | -3.3 | -0.5 | -0.3 | 1 | -0.8 | -5.1 |
| 2016 | -0.3 | 2 | 0.4 | -0.7 | 0.1 | 0.3 | -0.7 | -0.1 | 0.8 | -0.7 | 0.2 | -0.3 | 1 |
| 2017 | -0.2 | 1.6 | -0.1 | 0.2 | 0.8 | 0.4 | 0.1 | 0.4 | 0.2 | 0.3 | 0 | -0.3 | 3.4 |
| 2018 | 0 | -1.2 | 1.1 | -0.5 | 0.7 | 0.5 | -0.5 | -0.2 | 0.2 | 0.4 | 0.9 | 0.7 | 2.1 |
| 2019 | 0.3 | 0.2 | 1.1 | -0.8 | -1.5 | 0.6 | -1.3 | 0.3 | -1.5 | 1.2 | -0.3 | 0.3 | -1.3 |
| 2020 | -1.7 | -1.9 | -3.9 | -3.4 | -0.1 | -0.5 | -0.6 | -0.1 | 0 | -0.4 | 1.2 | 0.9 | -10.3 |
| 2021 | 0.3 | 1.9 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-02 60.0 SPY 113. -0.0005 -0.0084 -0.0022 -0.0079 0.131 -0.0713 -0.153 <NA> NA NA NA
2 2004-07-06 59.7 SPY 112. -0.0088 -0.0138 -0.0018 -0.024 0.133 -0.0789 -0.168 <NA> NA NA NA
3 2004-07-07 59.8 SPY 112. 0.00290 -0.0149 -0.0067 -0.0265 0.114 -0.0813 -0.181 <NA> NA NA NA
4 2004-07-08 59.7 SPY 111. -0.0071 -0.0272 -0.0286 -0.0303 0.102 -0.0912 -0.193 <NA> NA NA NA
5 2004-07-09 59.6 SPY 112. 0.0028 -0.0107 -0.0273 -0.0253 0.111 -0.0999 -0.198 <NA> NA NA NA
6 2004-07-12 59.5 SPY 112. 0.0004 -0.0097 -0.0177 -0.0226 0.126 -0.0993 -0.198 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
